It is shown that the suitably normalized maximum likelihood estimators of some parameters of multidimensional Ornstein Uhlenbeck processes with coefficient matrix of a special structure have exactly a normal distribution. This result provides a generalization to an arbitrary dimension of the well-kn
Exact asymptotic bias for estimators of the Ornstein–Uhlenbeck process
✍ Scribed by Denis Bosq
- Publisher
- Springer Netherlands
- Year
- 2010
- Tongue
- English
- Weight
- 181 KB
- Volume
- 13
- Category
- Article
- ISSN
- 1387-0874
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## Abstract This paper deals with optimal designs for Gaussian random fields with constant trend and exponential correlation structure, widely known as the Ornstein–Uhlenbeck process. Assuming the maximum likelihood approach, we study the optimal design problem for the estimation of the trend µ and
## Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for two approximate maximum likelihood estimators of the drift parameter in the Ornstein-Uhlenbeck process are obtained when the process is observed at equally spaced dense time points. Also obtained